Support for User-Defined Strategies

Overview

Strategy Types

Covered: A strategy where options and futures are
traded as a spread. These strategies require a futures contract
price and delta. The legs of the spread also can be spreads or exchange-defined
and user-defined strategies.

Combo: Any options spread where the legs are a combination
of outright options, exchange-defined options strategies, or listed
user-defined options strategies.

Data Flow for Creating a UDS

The following is a sample data flow for creating a Covered
or Combo UDS using X_TRADER®:

For a Covered UDS creation request, X_TRADER® sends
a Strategy Type of Covered to
the Order Server. A message for the request is logged in the Audit
Trail.

For a Combo UDS creation request, X_TRADER® sends a Strategy
Type of “Combo” to the Order Server. A message for the request is
logged in the Audit Trail.

For a Combo or Covered UDS the Order Server validates
the request and forwards it to the exchange, then sends a message
to X_TRADER® indicating the request has been sent. If the Order
Server denies the request, it logs a failure message in the Audit
Trail in X_TRADER® explaining the reason for the rejection.

The exchange accepts or rejects the UDS creation request
and sends the corresponding message to the Order Server. Some examples
of why the exchange rejects a request are:

The strategy
already exists.

The content or format of the creation request message
was incorrect.

The underlying products are not available for trading,
or the market is closed.

The Order Server logs a message in the Audit Trail in
X_TRADER® indicating whether the Combo or Covered strategy was accepted
or rejected by the exchange.

The Price Server creates the Combo or Covered UDS contract
and makes it available for trading and quoting.